Quite likely the RCD protects your socket circuits and your electric shower (if you have one) but not the lighting circuits.
This is quite normal, it is safer to cut power on sockets (as you might be using an electric tool outside in the rain, or dropped your kettle in the sink, so at risk of shock); but safer not to cut power on lights (as you might be up a ladder; carrying something heavy, or running downstairs, so at risk if it goes unexpectedly dark).
If you describe the layout of your consumer unit, we will be able to tell you if that is how it has been done. If not, then the new lights may have been wired in an unusual way.
For example, starting at one side, I would expect to see something marked "Main Switch - 100A" that is about twice the width of the other things, then a few narrower MCBs marked "Lighting up - B6" or similar, then maybe an RCD (large again) marked "30mA" then some smaller MCBs marked "B32 - Upstairs Sockets" or something like that. You may also see that some of the MCBs are marked with a sticker in Red, and some in Green.